We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …

Using a 2009-2019 sample of Chinese bond issuers, we examine the effect of carbon risk on bond financing costs …. Relative to low carbon risk issuers, high carbon risk issuers have substantially larger bond credit spreads, mainly because … their credit risk is greater and they invest the funds in non-green projects. This positive relationship is more pronounced …

empirical estimation is conducted using an Error Correction Model (ECM) for a dataset of monthly time series from 1970 to 2003 …